Statistical analysis
[STAT2030]
[30h + 22.5h] 5 credits
This course is taught in the 2d semester.
Teacher(s): Anouar El Ghouch(supplée Ingrid Van Keilegom), Ingrid Van Keilegom, Rainer von Sachs
Language: French
Level: Second
Aims
Main themes
Theory of point estimation: use for sufficiency and completeness.
Construction of estimators: maximum likelihood method, asymptotic equivalence.
Construction of confidence regions: exact and asymptotic regions.
Theory of hypothesis tests: Neyman-Pearson lemma, likelihood ratio tests, Rao statistic, Wald statistic. Applications to the exponential family models,
and to problems encountered in the first cycle course.
Other information (prerequisite, evaluation (assessment methods), course materials recommended readings, ...)
- Von Sachs R., Analyse statistique, syllabus of MATH 2440, Institut de statistique, UCL, Louvain-la-Neuve, 2000.
- Montfort A., Cours de statistique mathématique, Economia, Paris, 1982.
- Lehmann E.L., Casella G., Theory of point estimation, 2nd edition, Springer, 1988.
- Lehmann E.L., Testing statistical hypothesis, 2nd edition, Springer, New York, 1997.